May 25

May 25, 2021 | IBOR Transition

  • Today I will speak with Mr Jamieson Blake of Tradition about their coverage of interest rate curves associates with the new reference rates
  • June 17th: From that date onward, SONIA must be the default reference rate the sterling exchange traded derivatives markets.
  • Mid 2021: You should have established formalised plans to amend legacy contracts where this can be done and have implemented the necessary system and process changes to enable transition to robust alternative rates.
  • End of 3Q21: complete active conversion of all legacy GBP LIBOR contracts expiring after end-2021 and, if not viable, ensure robust fallbacks are adopted where possible (WG RFR)
  • End of 2021: Be prepared for LIBOR to cease.